From 2e036783bfa14bbcbf4ca340316a77949b5bf140 Mon Sep 17 00:00:00 2001 From: boris Date: Tue, 16 Jun 2026 00:29:01 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BF=AE=E6=AD=A3=E6=AD=A2=E6=8D=9F=E5=89=8D?= =?UTF-8?q?=E5=BC=B1=E5=B8=82=E8=A1=A5=E4=BB=93=E9=A1=BA=E5=BA=8F?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../fidc-core/src/platform_expr_strategy.rs | 206 +++++++++++++++--- 1 file changed, 175 insertions(+), 31 deletions(-) diff --git a/crates/fidc-core/src/platform_expr_strategy.rs b/crates/fidc-core/src/platform_expr_strategy.rs index 2e23d92..1ab3d24 100644 --- a/crates/fidc-core/src/platform_expr_strategy.rs +++ b/crates/fidc-core/src/platform_expr_strategy.rs @@ -6413,37 +6413,6 @@ impl Strategy for PlatformExprStrategy { .cloned() .collect::>(); - if self.config.aiquant_transaction_cost - && self.config.rotation_enabled - && trading_ratio > 0.0 - && trading_ratio < 1.0 - && selection_limit > 0 - && !ctx.portfolio.positions().is_empty() - { - let target_value = aiquant_total_value * trading_ratio / selection_limit as f64; - if target_value.is_finite() && target_value > 0.0 { - for position in ctx.portfolio.positions().values() { - if position.quantity == 0 || delayed_sold_symbols.contains(&position.symbol) { - continue; - } - order_intents.push(OrderIntent::TargetValue { - symbol: position.symbol.clone(), - target_value, - reason: "daily_position_target_adjust".to_string(), - }); - self.project_target_value( - ctx, - &mut projected, - execution_date, - &position.symbol, - target_value, - &mut projected_execution_state, - ); - } - aiquant_available_cash = projected.cash(); - } - } - for position in ctx.portfolio.positions().values() { if delayed_sold_symbols.contains(&position.symbol) { continue; @@ -6544,6 +6513,43 @@ impl Strategy for PlatformExprStrategy { } } + if self.config.aiquant_transaction_cost + && self.config.rotation_enabled + && trading_ratio > 0.0 + && trading_ratio < 1.0 + && selection_limit > 0 + && !ctx.portfolio.positions().is_empty() + { + let target_value = aiquant_total_value * trading_ratio / selection_limit as f64; + if target_value.is_finite() && target_value > 0.0 { + for position in ctx.portfolio.positions().values() { + if position.quantity == 0 + || delayed_sold_symbols.contains(&position.symbol) + || exit_symbols.contains(&position.symbol) + || same_day_sold_symbols.contains(&position.symbol) + || unresolved_stop_loss_symbols.contains(&position.symbol) + || self.pending_highlimit_holdings.contains(&position.symbol) + { + continue; + } + order_intents.push(OrderIntent::TargetValue { + symbol: position.symbol.clone(), + target_value, + reason: "daily_position_target_adjust".to_string(), + }); + self.project_target_value( + ctx, + &mut projected, + execution_date, + &position.symbol, + target_value, + &mut projected_execution_state, + ); + } + aiquant_available_cash = projected.cash(); + } + } + if self.config.daily_top_up_enabled && self.config.rotation_enabled && !periodic_rebalance @@ -11357,6 +11363,144 @@ mod tests { ))); } + #[test] + fn platform_stop_loss_skips_weak_market_top_up_for_exiting_position() { + let prev_date = d(2025, 2, 2); + let date = d(2025, 2, 3); + let symbols = ["000001.SZ", "000002.SZ"]; + let data = DataSet::from_components( + symbols + .iter() + .map(|symbol| Instrument { + symbol: (*symbol).to_string(), + name: (*symbol).to_string(), + board: "SZ".to_string(), + round_lot: 100, + listed_at: Some(d(2020, 1, 1)), + delisted_at: None, + status: "active".to_string(), + }) + .collect(), + symbols + .iter() + .map(|symbol| DailyMarketSnapshot { + date, + symbol: (*symbol).to_string(), + timestamp: Some("2025-02-03 10:40:00".to_string()), + day_open: 10.0, + open: 10.0, + high: 10.2, + low: 9.8, + close: 10.0, + last_price: 10.0, + bid1: 9.99, + ask1: 10.01, + prev_close: 10.0, + volume: 1_000_000, + tick_volume: 10_000, + bid1_volume: 2_000, + ask1_volume: 2_000, + trading_phase: Some("continuous".to_string()), + paused: false, + upper_limit: 11.0, + lower_limit: 9.0, + price_tick: 0.01, + }) + .collect(), + symbols + .iter() + .enumerate() + .map(|(index, symbol)| DailyFactorSnapshot { + date, + symbol: (*symbol).to_string(), + market_cap_bn: 10.0 + index as f64, + free_float_cap_bn: 10.0 + index as f64, + pe_ttm: 8.0, + turnover_ratio: Some(1.0), + effective_turnover_ratio: Some(1.0), + extra_factors: BTreeMap::new(), + }) + .collect(), + symbols + .iter() + .map(|symbol| CandidateEligibility { + date, + symbol: (*symbol).to_string(), + is_st: false, + is_new_listing: false, + is_paused: false, + allow_buy: true, + allow_sell: true, + is_kcb: false, + is_one_yuan: false, + }) + .collect(), + vec![BenchmarkSnapshot { + date, + benchmark: "000852.SH".to_string(), + open: 1000.0, + close: 1000.0, + prev_close: 1000.0, + volume: 1_000_000, + }], + ) + .expect("dataset"); + + let mut portfolio = PortfolioState::new(30_000.0); + portfolio + .position_mut("000001.SZ") + .buy(prev_date, 100, 20.0); + let subscriptions = BTreeSet::new(); + let ctx = StrategyContext { + execution_date: date, + decision_date: date, + decision_index: 2, + data: &data, + portfolio: &portfolio, + futures_account: None, + open_orders: &[], + dynamic_universe: None, + subscriptions: &subscriptions, + process_events: &[], + active_process_event: None, + active_datetime: None, + order_events: &[], + fills: &[], + }; + let mut cfg = PlatformExprStrategyConfig::microcap_rotation(); + cfg.signal_symbol = "000001.SZ".to_string(); + cfg.refresh_rate = 99; + cfg.max_positions = 2; + cfg.benchmark_short_ma_days = 1; + cfg.benchmark_long_ma_days = 1; + cfg.market_cap_lower_expr = "0".to_string(); + cfg.market_cap_upper_expr = "1000".to_string(); + cfg.selection_limit_expr = "2".to_string(); + cfg.stock_filter_expr = "close > 0".to_string(); + cfg.exposure_expr = "0.5".to_string(); + cfg.stop_loss_expr = "0.92".to_string(); + cfg.take_profit_expr.clear(); + cfg.daily_top_up_enabled = true; + let mut strategy = PlatformExprStrategy::new(cfg); + strategy.rebalance_day_counter = 2; + + let decision = strategy.on_day(&ctx).expect("platform decision"); + + assert!(decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { + symbol, + target_value, + reason, + } if symbol == "000001.SZ" && *target_value == 0.0 && reason == "stop_loss_exit" + ))); + assert!(!decision.order_intents.iter().any(|intent| matches!( + intent, + OrderIntent::TargetValue { symbol, reason, .. } + if symbol == "000001.SZ" && reason == "daily_position_target_adjust" + ))); + } + #[test] fn platform_refresh_rate_uses_stateful_aiquant_day_counter() { let dates = [d(2025, 2, 5), d(2025, 2, 6), d(2025, 2, 7)];